Scrub the carrots, then cook in a pan of fast-boiling salted water for 10 minutes, or until just tender, then drain.
Finely grate half the orange zest into the empty pan and squeeze in all the juice. Place on a medium heat, add the bay, thyme and a good pinch of sea salt, then cook until syrupy, folding the carrots back into the glaze to coat. Leave to cool.
One by one, lay out the filo sheets, rub with oil, then cut lengthways into 3 strips. Place a carrot at the bottom of each and roll up like a cigar, squeezing lightly to seal (don’t worry about being too neat). Repeat with the remaining carrots and filo, placing them on a baking tray as you go.
Brush each lightly with oil, then roast for 20 minutes, or until lightly golden and crisp, drizzling with a little honey and scattering with the sesame seeds for the last 5 minutes.
Stack the carrots on a board, scattering over any sesame seeds left on the tray, then swirl the tahini and harissa through the yoghurt and serve alongside.